Does aggregate insider trading predict stock returns in China?
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Detail(s)
Original language | English |
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Pages (from-to) | 922-942 |
Journal / Publication | International Journal of Finance and Economics |
Volume | 24 |
Issue number | 2 |
Publication status | Published - 1 Apr 2019 |
Externally published | Yes |
Link(s)
Abstract
This paper studies the information content of aggregate insiders' transactions in their own firms in China by analysing approximately 28,000 open market transactions from July 2007 to December 2014. The evidence suggests that publicly available information about aggregate insiders' transactions cannot predict future stock returns. However, the ability of aggregate insiders' transactions to predict future stock returns is positively associated with the strength of corporate governance. Results from vector autoregressive models and examination of profitable strategies corroborate these findings.
Research Area(s)
- China, corporate governance, insider transactions, market return, ownership concentration, state-owned enterprise
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Citation Format(s)
Does aggregate insider trading predict stock returns in China? / He, Qing; Cheng, Bingqian; Wen, Jing.
In: International Journal of Finance and Economics, Vol. 24, No. 2, 01.04.2019, p. 922-942.
In: International Journal of Finance and Economics, Vol. 24, No. 2, 01.04.2019, p. 922-942.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review